I don't like the App Store experience and sandboxing either. I just find it almost malicious that they added that dialog even for notarised applications. Notarised applications should show no dialog whatsoever, just like App Store ones. It is these little frictions that move users to App Store apps. How many users saw that, had doubts, and then decided to go back to the "safe" walled garden.
And I say this as someone more or less utterly in the same boat as you. I bought a used Thinkpad last June after seeing the first Tahoe beta. It's clear Apple is not the platform for us anymore.